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Methodology for economic analysis of highly uncertain innovative projects of improbability type

Babkin, Aleksandr; Kvasha, Nadezhda; Demidenko, Daniil; … - In: Risks : open access journal 11 (2023) 1, pp. 1-20

Modern conditions for real investment are generally associated with increasing uncertainty, which is even more relevant …, considering the project's uncertainty characteristics. The logic of the analysis methods transformation under the influence of a … changing uncertainty level determines the combination of the fuzzy-set approach and the concept of real options. The …

Persistent link: https://www.econbiz.de/10014232403

The Dynamic connectedness between risk and return in the fintech market of India : evidence using the GARCH-M approach

Bhatnagar, Mukul; Özen, Ercan; Taneja, Sanjay; Grima, Simon - In: Risks : open access journal 10 (2022) 11, pp. 1-16

Fintech allows investors to explore previously unavailable investment opportunities; it provides new return opportunities while also introducing new risks. The aim of this study is to investigate the relationship between risk and return in the fintech industry in the Indian stock market. This...

Persistent link: https://www.econbiz.de/10014225995

Optimal investment under cost uncertainty

Detemple, Jérôme B.; Kitapbayev, Yerkin - In: Risks : open access journal 6 (2018) 1, pp. 1-19

This paper studies the valuation of real options when the cost of investment jumps at a random time. Three valuation formulas are derived. The first expresses the value of the project in terms of a collection of knockout barrier claims. The second identifies the premium relative to a project...

Persistent link: https://www.econbiz.de/10011811536

Imbalance market real options and the valuation of storage in future energy systems

Moriarty, John; Palczewski, Jan - In: Risks : open access journal 7 (2019) 2/39, pp. 1-30

As decarbonisation progresses and conventional thermal generation gradually gives way to other technologies including intermittent renewables, there is an increasing requirement for system balancing from new and also fast-acting sources such as battery storage. In the deregulated context, this...

Persistent link: https://www.econbiz.de/10012019299

Real-option valuation in a finite-time, incomplete market with jump diffusion and investor-utility inflation

Hillman, Timothy; Zhang, Nan; Zhuo, Jin - In: Risks : open access journal 6 (2018) 2, pp. 1-20

We extend an existing numerical model (Grasselli (2011)) for valuing a real option to invest in a capital project in an incomplete market with a finite time horizon. In doing so, we include two separate effects: the possibility that the project value is partly describable according to a...

Persistent link: https://www.econbiz.de/10011866522

A compound up-and-in call like option for wind projects pricing

Bufalo, Michele; Di Bari, Antonio; Villani, Giovanni - In: Risks : open access journal 11 (2023) 5, pp. 1-13

paper provides a real options pricing model applied for the evaluation of a wind farm project to include the uncertainty …

Persistent link: https://www.econbiz.de/10014332155

Money as insurance

Laurila, Hannu - In: Risks : open access journal 10 (2022) 12, pp. 1-13

cost of market deposits and increasing the cost of using cash as insurance against external uncertainty. …

Persistent link: https://www.econbiz.de/10014230960

Ruin probabilities with dependence on the number of claims within a fixed time window

Constantinescu, Corina; Dai, Suhang; Ni, Weihong; … - In: Risks : open access journal 4 (2016) 2, pp. 1-23

We analyse the ruin probabilities for a renewal insurance risk process with inter-arrival times depending on the claims that arrive within a fixed (past) time window. This dependence could be explained through a regenerative structure. The main inspiration of the model comes from the bonus-malus...

Persistent link: https://www.econbiz.de/10011507555

The myth of Methuselah and the uncertainty of death : the mortality fan charts

Dowd, Kevin; Blake, David; Cairns, Andrew - In: Risks : open access journal 4 (2016) 3, pp. 1-7

most likely path of male mortality and the bands of uncertainty surrounding that path. The fan charts are based on a model … forecast-and that forecasts of future mortality uncertainty must also take account of uncertainty in the parameters of the …

Persistent link: https://www.econbiz.de/10011507620

Risk minimization for insurance products via F-doubly stochastic Markov chains

Biagini, Francesca; Groll, Andreas; Widenmann, Jan … - In: Risks : open access journal 4 (2016) 3, pp. 1-26

We study risk-minimization for a large class of insurance contracts. Given that the individual progress in time of visiting an insurance policy's states follows an F-doubly stochastic Markov chain, we describe different state-dependent types of insurance benefits. These cover single payments at...

Persistent link: https://www.econbiz.de/10011507634

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